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Given the following sample data, calculate the performance measures for portfolio P and the market (Sharpe, Jensen/Alpha and Treynor. The T-bill rate during the period was 6 %). By which measure did portfolio P outperform the market?                                                                   Portfolio P                 Market M Average return                                             35 %                           28 % Beta                                                            1.2                               1.0 Standard deviation                                      42 %                           30 %

Given the following sample data, calculate the performance measures for portfolio P and the market (Sharpe, Jensen/Alpha and Treynor. The T-bill rate during the period was 6 %). By which measure did portfolio P outperform the market?                                                                   Portfolio P                 Market M Average return                                             35 %                           28 % Beta                                                            1.2                               1.0 Standard deviation                                      42 %                           30 %

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Given the following sample data, calculate the performance measures for portfolio P and the market (Sharpe, Jensen/Alpha and Treynor. The T-bill rate during the period was 6 %). By which measure did portfolio P outperform the market?

                                                                  Portfolio P                 Market M

Average return                                             35 %                           28 %

Beta                                                            1.2                               1.0

Standard deviation                                      42 %                           30 %

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